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No, that's right! One fund has a beta of 81.6% and the other 82.4%, each with a ~90% R^2 to market. Therefore, it makes total sense that the spread between the two should have almost no correlation to the market (which is your very low mkt co-efficient value, and your very low R^2). The >90% P-value on the intercept (of the spread) co-efficients does ...


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